臺灣博碩士論文加值系統

近年來外資投入台股的資金呈現倍數的成長，而能左右這些龐大資金去向的，不外乎是外資券商旗下的分析師，特別是他們所公佈的研究報告，報告中的建議操作往往與這些外資資金呈現高度的聯動性。而Michealy et al.(1999)等學者認為這些賣方分析師會具有明顯利益衝突的情形，在自利誘因趨使下會發佈對於本身較有利的預測值。因此本研究以外資券商所提出的投資評等宣告來進行實證分析，希望能藉此檢定外資是否具有明顯利益衝突的情形，以及外資在面對自我利益及商譽可帶來的短期及長期利益當中，究竟會如何進行取捨？同時本研究並嘗試由心理學來建構理論基礎，以此來解釋外資的行為。另外，本研究亦觀察一般散戶投資人在面對投資評等變動的報告時，其反應會是如何，同時以行為財務學的相關理論來解釋之。實證結果如下：
一、外資券商的投資評等宣告，在宣告期間內會對股價造成影響，調升的宣告會產生正的異常報酬，而調降的宣告則會產生負的異常報酬。
二、外資券商在調升個股投資評等時，會選擇在維持一定的自我利益下，追求更高的商譽；而在調降個股投資評等時，會選擇在維持一定的商譽下，追求更高的自我利益，顯然外資在調降評等相關訊息上，其自利心態極為濃厚。
三、台灣散戶投資人在面對外資券商的投資評等宣告時，會具有行為財務理論中所描述的「處份效果」，亦即在面對調升訊息時反應不夠，太早獲利了結；而在面對調降訊息時反應也不夠，因此太晚停損出場，使得投資人的獲利受到限制。
四、美系外資不論在調升、調降投資評等宣告上，其佈局與資金流動的方向是與決策呈現一致的，而亞系外資及歐系外資則分別在調升及調降的投資評等宣告上，均是以自利為為出發點。

In recent years, the funds foreign invested Taiwan stock market presented the multiple the growth, but could control these huge fund whereabouts, nothing more than was affiliated analysts in foreign agencies, their investment recommendation reports often presented the high linkage with these funds foreign invested. Michealy(1999) thought these sell analysts can have the obvious conflict of interest , self-interest incentive causes to be able to issue the more advantageous forecast value. Therefore, this study hope can take advantage of the investment recommendations that foreign agencies announced to examine whether has the obvious conflict of interests, and how can foreign agencies make a trade-off when faces the conflict of self-interest and reputation. Moreever, this study also observes individual investor’s response when investment recommendations announced. Finally, this study attempt to construct the theoretical foundation by the Psychology and Behavioural Finance theory, and explains the behavior of foreign agencies and individual investor by this.
The empirical results of this study as follows:
1.The announcement of investment recommendations by foreign agencies indeed have the information content.
2.When foreign agencies upgrade the recommendations of some companies, they can choose under the maintenance certain self-interest, attain higher reputation; and they can choose under the maintenance certain reputation, attain higher self-interest when they downgrade the recommendations of some companies.
3.The individual investor can have “Disposition effect” which behavioural finance describes, that is individual realize profits and exit too early result from responding to good news incompletely; and stop losses and exit too late result from responding to bad news incompletely too.
4.American securities companies no matter in upgrade or downgrade recommendation reports, its self-interest behavior is not more obvious. But Asian and European securities companies then separately in upgrade and downgrade are talking the self-interest as their consideration.

目錄
中文摘要……………………….……………………….………….…Ⅰ
英文摘要………………………………………….……………………Ⅱ
誌謝…………………………………………………………………….Ⅲ
目錄………………………………………………………………….…Ⅳ
表目錄…………………………………………………………….……Ⅴ
圖目錄……………………………..………………….………………Ⅵ

第一章　導論
　第一節　 研究背景與動機........................................................1
　第二節　 研究目的………………………………………...……..4
　第三節　 研究架構流程與架構……………………………….....5
第四節 研究限制…………………………………………….....7
第二章　文獻探討
　第一節　 投資評等宣告之訊息內涵相關文獻探討………...…..8
　第二節　 券商利益衝突之相關文獻探討…………………..……11
　第三節　 心理學上關於衝突之文獻探討……….………….…..14
第四節 行為財務學相關文獻探討………………………......17
第五節 小結……………….…………………….……………..20
第三章　研究方法
　第一節　 研究假說……………….……………….……………..21
　第二節　 研究設計………………………….…….….………….25
　第三節　 資料與樣本……………..…….……….……..……..26
　第四節　 研究模型與定義……………………………………....29
第四章　實證結果與分析
　第一節　 外資調升投資評等對股票報酬之影響……………....36
　第二節　 不同外資體系調升投資評等對股票報酬之影響…....38
　第三節　 外資調降投資評等對股票報酬之影響…………….….42
　第四節　 不同外資體系調降投資評等對股票報酬之影響……..44
　第五節　 調升投資評等前後外資持股變化….…….…………..48
第六節　 調升投資評等前後不同體系外資持股變化……….…...51
第七節　 調降投資評等前後外資持股變化…………………..…..56
第八節 調降投資評等前後不同體系外資持股變化………......58
第九節 調升投資評等前後融資餘額變化………………….…...62
第十節 調降投資評等前融資餘額變化……………………...….63
第十一節 外資投資評等宣告的自我利益與信譽之探討……...….65
第五章　結論與建議
　第一節　 研究結論…………………………..………..…………70
第二節　 研究建議…………………………….……..….........73
參考文獻………………………………………………………..…...74

一、英文部分
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Barber B. and Odean T. , 2001, “Boy Will Boys：Gender, Overconfidence and Common Stock Investment”, The Quarterly Journal of Economics, p.261-292.
Bauman W.Scott, S Datta and Mai E.Iskandar-Datta, 1995, “Investment Analyst Recommendations：A Test of ‘The Announcement Effect’ and ‘The Valuable Information Effect”, Journal of Business Finance and Accounting, 1995, p.659-670.
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Chan Siu-Yeung and Wai-Ming Fong, 1996, “Raeations of The Hong Kong Stock Market to the Publication of Second-hand Analysts’Recommendation Information”, Journal of Business Finance and Accounting, p.1121-1139.
Chandy P. R., John W.Peavy and William Reichenstein,1993, “A Note on the Value Line Stock Highlight Effect”, The Journal of Financial Research, p.171-179.
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二、中文部分
吳政毅(1999)，『以日內資料探討公開推薦資訊之價值』，國立中正大學財務金融研究所碩士論文。
陳建成(1999)，『股票公開推薦價值與影響因素之研究』，國立中正大學財務金融研究所碩士論文。
陳虹霖(2002)，『國內共同基金投資人過度自信行為之研究』，國立台灣大學財務金融研究所碩士論文。
張慧蘋，(1995)，『券商票選股資訊內涵之實證研究』，國立台灣大學會計研究所未出版碩士論文。
黃守義(2002)，『投資評等報告對公司股價影響之探討：以資訊電子廠商存貨問題為探討。』，國立台灣大學會計研究所碩士論文。
黃姿婷(2003)，『綜合券商附屬分析師預測偏誤與利益衝突關聯之研究』，私立中原大學會計研究所碩士論文。
盧志昌(1999)，『證券投顧公司投資組合競賽傳達訊息之研究』，國立中正大學財務金融研究所碩士論文。